Orchid Island Capital Announces August 2017 Monthly Dividend and July 31, 2017 RMBS Portfolio Characteristics

Orchid Island Capital, Inc. (the “Company”) (NYSE:ORC) announced today that the Board of Directors declared a monthly cash dividend for the month of August 2017. The dividend of $0.14 per share will be paid September 8, 2017, to holders of record on August 31, 2017, with an ex-dividend date of August 29, 2017. 

The Company intends to make regular monthly cash distributions to its stockholders. In order to qualify as a real estate investment trust (“REIT”), the Company must distribute annually to its stockholders an amount at least equal to 90% of its REIT taxable income, determined without regard to the deduction for dividends paid and excluding any net capital gain. The Company will be subject to income tax on taxable income that is not distributed and to an excise tax to the extent that a certain percentage of its taxable income is not distributed by specified dates. The Company has not established a minimum distribution payment level and is not assured of its ability to make distributions to stockholders in the future.

As of August 9, 2017, the Company had 45,303,821 shares outstanding. At June 30, 2017, the Company had 45,299,812 shares outstanding.

RMBS Portfolio Characteristics

Details of the RMBS portfolio as of July 31, 2017 are presented below. These figures are preliminary and subject to change.  The information contained herein is an intra-quarter update created by the Company based upon information that the Company believes is accurate:

• RMBS Valuation Characteristics
• RMBS Assets by Agency
• Investment Company Act of 1940 (Whole Pool) Test Results
• Repurchase Agreement Exposure by Counterparty
• RMBS Risk Measures

About Orchid Island Capital, Inc.

Orchid Island Capital, Inc. is a specialty finance company that invests in Agency RMBS that are either traditional pass-through Agency RMBS or structured Agency RMBS. Orchid Island Capital, Inc. has elected to be taxed as a REIT for federal income tax purposes.

Forward-Looking Statements

This press release contains forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995 and other federal securities laws. These forward-looking statements include, but are not limited to, statements about the Company’s distributions and the expected funding of purchased assets and anticipated borrowings. These forward-looking statements are based upon Orchid Island Capital, Inc.’s present expectations, but these statements are not guaranteed to occur. Investors should not place undue reliance upon forward-looking statements. For further discussion of the factors that could affect outcomes, please refer to the “Risk Factors” section of the Company’s Form 10-K for the year ended December 31, 2016.

RMBS Valuation Characteristics
($ in thousands)
							Percentage		Weighted		Realized
		Current		Fair		Current	of		Average		Jul 2017 CPR
Asset Category		Face		Value(1)		Price	Portfolio		Coupon		(Reported in Aug)
As of July 31, 2017
Adjustable Rate RMBS	$	1,808	$	1,923		106.37	0.05	%	3.52	%	0.09	%
10-1 Hybrid Rate RMBS		41,765		42,766		102.40	1.07	%	2.55	%	0.84	%
Hybrid Adjustable Rate RMBS		41,765		42,766		102.40	1.07	%	2.55	%	0.84	%
15 Year Fixed Rate RMBS		42,194		44,228		104.82	1.11	%	3.50	%	11.77	%
20 Year Fixed Rate RMBS		227,847		242,668		106.50	6.09	%	4.00	%	4.01	%
30 Year Fixed Rate RMBS		3,244,093		3,512,082		108.26	88.12	%	4.45	%	4.64	%
Total Fixed Rate RMBS		3,514,134		3,798,978		108.11	95.32	%	4.41	%	4.69	%
Total Pass-through RMBS		3,557,707		3,843,667		108.04	96.44	%	4.39	%	4.64	%
Interest-Only Securities		780,838		97,756		12.52	2.45	%	3.74	%	13.47	%
Inverse Interest-Only Securities		228,785		44,189		19.31	1.11	%	4.99	%	14.97	%
Structured RMBS		1,009,623		141,945		14.06	3.56	%	4.13	%	13.81	%
Total Mortgage Assets	$	4,567,330	$	3,985,612			100.00	%	4.38	%	6.67	%

RMBS Assets by Agency						Investment Company Act of 1940 Whole Pool Test
($ in thousands)						($ in thousands)
			Percentage						Percentage
		Fair	of					Fair	of
Asset Category		Value(1)	Portfolio			Asset Category		Value(1)	Portfolio
As of July 31, 2017						As of July 31, 2017
Fannie Mae	$	2,656,786	66.7	%		Whole Pool Assets	$	3,409,436	85.5	%
Freddie Mac		1,321,756	33.1	%		Non-Whole Pool Assets		576,176	14.5	%
Ginnie Mae		7,070	0.2	%		Total Mortgage Assets	$	3,985,612	100.0	%
Total Mortgage Assets	$	3,985,612	100.0	%

(1) Amounts in the tables above include assets with a fair value of approximately $6.5 million purchased in July 2017, which settle in August 2017.

Borrowings By Counterparty
($ in thousands)
							Weighted
				% of			Average
		Total		Total			Maturity	Longest
As of July 31, 2017		Borrowings(1)		Debt			in Days	Maturity
J.P. Morgan Securities LLC	$	731,588		19.6	%		11	8/21/2017
Citigroup Global Markets Inc		367,625		9.8	%		19	9/14/2017
ICBC Financial Services LLC		279,796		7.5	%		44	10/12/2017
Cantor Fitzgerald & Co		248,662		6.6	%		47	10/19/2017
Wells Fargo Bank, N.A.		244,886		6.5	%		10	8/11/2017
Mirae Asset Securities (USA) Inc.		229,167		6.1	%		18	9/22/2017
RBC Capital Markets, LLC		226,246		6.0	%		14	8/14/2017
Mitsubishi UFJ Securities (USA), Inc		206,554		5.5	%		78	10/23/2017
South Street Securities, LLC		174,843		4.7	%		11	8/24/2017
Merrill Lynch, Pierce, Fenner & Smith Incorporated		158,178		4.2	%		18	8/31/2017
ED&F Man Capital Markets Inc		155,908		4.2	%		20	9/22/2017
Nomura Securities International, Inc.		142,816		3.8	%		63	10/30/2017
Natixis, New York Branch		138,593		3.7	%		18	8/31/2017
Goldman, Sachs & Co		104,232		2.8	%		43	10/13/2017
Daiwa Securities America Inc.		91,518		2.4	%		12	8/14/2017
FHLB-Cincinnati		79,487		2.1	%		1	8/1/2017
KGS-Alpha Capital Markets, L.P		67,895		1.8	%		11	8/14/2017
Guggenheim Securities, LLC		51,867		1.4	%		30	9/29/2017
Lucid Cash Fund USG LLC		24,831		0.7	%		24	8/24/2017
Mizuho Securities USA, Inc		21,958		0.6	%		25	8/25/2017
Total Borrowings	$	3,746,650		100.0	%		25	10/30/2017

(1) In July 2017, the Company purchased assets with a fair value of approximately $6.5 million which settle in August 2017 that are expected to be funded by repurchase agreements.  These anticipated borrowings are not included in the table above.

RMBS Risk Measures
($ in thousands)
Mortgage Assets
			Weighted
			Average		Weighted		Weighted			Modeled			Modeled
			Months		Average		Average			Interest			Interest
			To Next		Lifetime		Periodic			Rate			Rate
		Fair	Coupon Reset		Cap		Cap Per Year			Sensitivity			Sensitivity
Asset Category		Value	(if applicable)		(if applicable)		(if applicable)			(-50 BPS)(1)			(+50 BPS)(1)
As of July 31, 2017
Adjustable Rate RMBS	$	1,923	1		10.04	%	2.00	%	$	15		$	(11	)
Hybrid Adjustable Rate RMBS		42,766	66		7.55	%	2.00	%		571			(669	)
Total Fixed Rate RMBS		3,798,978	n/a		n/a		n/a			53,106			(77,106	)
Total Pass-through RMBS		3,843,667	n/a		n/a		n/a			53,692			(77,786	)
Interest-Only Securities		97,756	n/a		n/a		n/a			(15,305	)		12,919
Inverse Interest-Only Securities		44,189	1		6.22	%	n/a			853			(2,235	)
Structured RMBS		141,945	n/a		n/a		n/a			(14,452	)		10,684
Total Mortgage Assets	$	3,985,612	n/a		n/a		n/a		$	39,240		$	(67,102	)
Funding Hedges
										Modeled			Modeled
										Interest			Interest
					Average		Hedge			Rate			Rate
					Notional		Period			Sensitivity			Sensitivity
					Balance(2)		End Date			(-50 BPS)(1)			(+50 BPS)(1)
Eurodollar Futures Contracts - Short Positions				$	978,571		Dec-2020		$	(13,128	)	$	17,125
Treasury Futures Contracts - Short Positions					465,000		Sep-2027			(18,030	)		17,933
Payer Swaps					950,000		May-2022			(14,422	)		14,422
TBA Short Positions					250,000		Aug-2017			(6,643	)		8,386
Total Hedges										(52,223	)		57,866
Grand Total									$	(12,983	)	$	(9,236	)

(1) Modeled results from Citigroup Global Markets Inc. Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant LIBOR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.(2) Treasury futures contracts were valued at a price of $125.89 at July 31, 2017.  The nominal contract value of the short position was $585.4 million.

Contact:

Orchid Island Capital, Inc.
Robert E. Cauley
3305 Flamingo Drive, Vero Beach, Florida 32963
Telephone: [phone]